Package to solve nonlinear antiparabolic PDE in C/C++

Question

I would like to solve the following PDE for the two-variable function f(q,y)

d f(q,y) / dq + 1/2 (d^2f(q,y)/dy^2 + x(q)*(df(q,y)/dy)^2) = 0,

in the interval -\inf < y < \inf, 0<=q<=1 and with boundary condition f(1,y) = g(y), where g(y) is a known function.

What is the best C/C++ package to solve numerically this equation?

Is there actually an analytic solution anyway? What is g(y)? As the "PDE" has no derivatives in q, does g(y) satisfy the PDE for q=1? Is f(y) = exp (-(x(q) - 1/2)y) not a solution for 0 <= q < 1? — Keith, Mar 06 '13 at 03:53
I am sorry There was a typo. There is a q-derivative. And no there is no analytic solution — James, Mar 06 '13 at 13:12

score 0 · Answer 1 · answered Mar 23 '13 at 03:04

Try the NAG libraries if you have access to them (expensive). The people at NAG will help you if your university/company/institute has the right type of license. I met someone from NAG, and they are very serious about tech support. Some people swear by the NAG libraries; I've hardly used them because they're so expensive, and I'm always afraid that my next job won't have access to them, so I don't want to depend on them.

In terms of free libraries, there are some PDE solvers in Netlib, but I have never used them. Another option is Numerical Recipes in C, which I would actually recommend against. The worst numerical codes I've seen have used Numerical Recipes routines as black boxes. The GSL is free and I have used it very successfully for solving systems of coupled ODEs, but there are no PDE solvers in the GSL.

Package to solve nonlinear antiparabolic PDE in C/C++

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